Orthogonal Subgroups for Portfolio Choice
AbstractThe orthogonal group on the location-scale family is at the foundation of the stochastic structure underlying CAPM. Relaxing that assumption, we show how less restrictive matrix subgroup symmetries on the location-scale family of asset returns bound asset choices. Sign symmetry is a special case and provides conditions such that the investor does not sell short. Group-generated welfare orderings are also identified.
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Bibliographic InfoPaper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 11993.
Date of creation: 01 Jan 2004
Date of revision:
Publication status: Published in Economics Bulletin, January 2004, vol. 7, pp. 1-7
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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
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Web page: http://www.econ.iastate.edu
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Other versions of this item:
- G0 - Financial Economics - - General
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- David A. Hennessy & Harvey E. Lapan, 2003. "An algebraic theory of portfolio allocation," Economic Theory, Springer, vol. 22(1), pages 193-210, 08.
- Chamberlain, Gary, 1983. "A characterization of the distributions that imply mean--Variance utility functions," Journal of Economic Theory, Elsevier, vol. 29(1), pages 185-201, February.
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